Constructive quadratic functional quantization and critical dimension

Abstract

We propose a constructive proof for the sharp rate of optimal quadratic functional quantization and we tackle the asymptotics of the critical dimension for quadratic functional quantization of Gaussian stochastic processes as the quantization level goes to infinity, i.e. the smallest dimensional truncation of an optimal quantization of the process which is "fully" quantized. We first establish a lower bound for this critical dimension based on the regular variation index of the eigenvalues of the Karhunen-Loève expansion of the process. This lower bound is consistent with the commonly shared sharp rate conjecture (and supported by extensive numerical experiments). Moreover, we show that, conversely, optimized quadratic functional quantizations based on this critical dimension rate are always asymptotically optimal (strong admissibility result).